From theory to practice - page 926
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check the correlation coefficient
))))preciprocally
I don't know how to pick a sliding window and whether it should be one. And whether they are equally probable, or, as Automat thinks, it is the older TFs that are dominant, i.e. some giant windows...
In the past, it was as clear as day to me - the window should be such that a pseudo-Poisson flow of quotes is observed in it - the day is ideal for this.
However, my infamous EURJPY trade showed that this was not the case. Oddly enough, on tests the best results are shown by sliding window models = 2xTF. I.e. = 8 hours(2xH4), 2 days(2xD1), 2 weeks etc.
I don't know how to explain it... There are some cycles in the market, some structure (as Wisard_2018 has written about more than once), but I can't understand it, much less justify it mathematically.
And without that understanding, it's all screwed! Now let the other uncles think and tell you all about it like an interrogation.
Here it is appropriate to remind Kotelnikov's theorem.
Physicists won't admit it.
One beats his head against the wall that his pockets are leaky, the other drives tractors into a swamp in two days.
They give a man a brand new tractor. Already in the swamp with a roof on it.
mutt...
Genius.
It would have been genius if it had been demonstrated on 500-1000 trades rather than 6 :)
Here is a machine translation of Axiom's post on cycles from where I can't remember....
As you can see this approach has been very successful on a number of currency pairs. Here are the results of testing back to base pairs during 2007 using the TD method based on daily timing without any variance.
The digital filter is a bandpass filter with the following parameters, some of which were previously stated: cutoff bandwidth P (1) = 10; bandpass bandwidth D (1) = 8; pass bandwidth P (2) = 40; stop bandwidth D (2) = 44; stop band attenuation A (1) = A (2) = -40dB; pass band ripple R = 0.08. The result of the digital filter is to create an active market cycle. Next, we calculate the root-mean-square deviation lines from its 25-day moving average. By using extrema of the active cycle in intervals of one to two standard deviations on each side, we can determine when we will exit the position. When the active cycle reaches its extreme at the close of the current day, we close the position at the open of the next day.
The stop loss is derived from the last 10 days of volatility and is rarely triggered. Its main purpose is to protect the account from abnormally large market movements; normally the system does not have enough time to react on its own.
POINT OF CHAOS
The top chart snowballs trades. The middle chart shows the results of the function's application to volume, open interest and price indicator basis. The bottom chart filters that data to generate actual trading signals.
This is only the first part of the Trend Detection methods however. We need to use other methods to confirm or maintain an open position. This is done by using digital filtering.
First, this system filters the price feed by taking out all cycles less than 10 and more than 40 days in length. This creates a generator derived from the price stream, the underlying trend and high frequency noise. A universal interval between 10 and 40 days has been found by examining the price flow spectra of several currency pairs using Burg's algorithm.
The digital filter is based on the Park Mcallen algorithm and is constructed using MtxVec library programs.
IMAGE GRAPH3
SEE WORK
The TD method was originally developed and backtested for the Euro, 2001-05 used as the data in the sample. Then the method was applied to pairs using 2006-07 as sample data, with one year of hindsight. For
"Rising Fairness" (left) shows the period of Backtesting performed on a given currency pair one year, Frate how this system works, we can look at the spot in GBP/JPY, dated November 6, 2007, through Jan. 9, 2008. All trades were made at the open. Market data, along with a certain chaos function and an active cycle indicator, can be found in "Chaos Point" (p39) .rom December 27, 2006 to January 1, 2008. During this period the system executed 22 trades, 17 of which were profitable with a return of 100.7%. Backtesting in a pair of bases during 2007 is shown in the "Across the Board" (below).
The Trend detection system generates a high percentage of winning trades. Because of this, the risk of significant declines is reduced and more stable profit expectations can be maintained. We can loosen the constraints of the money management strategy and allocate more of our initial trading capital to each trade, while still maintaining an acceptable level of risk.
...
no pictures saved
RSI and MA to it. Might help in some way, somehow.
An incident on a famous forum came to mind.
One asks. Are there any bars shallower than minute bars?
Someone answers. There are ticks.
He asks again. No, are there any shallower?
))
Too bad we don't share tics. We'd be in for a real treat then.
It's a shame the tics aren't shared. We'd have had a blast then.
They do share.
The starting material is a flow of orders from clients to buy or sell a certain volume at a certain price. And the orders are both for placing and for withdrawing the orders.
Further, at each price level these requests are lined up in separate lines forming a slab with price levels and summary volume at each level.
Then the buy and sell orders are combined.
Suppose that a large Buy request has eaten the whole offered volume of BestAsk in the cup and started to eat the next price level BestAsk+1. Only at this point a tick (price change) occurs.
This is the exchange version, for forex may be different, for example, a tick may be given at each transaction, even if it does not change BestBid/BestAsk.
In any case, a tick is just the end result of a complex process.
Wrote to Alexander_K2, read the post, maybe there will be some useful thoughts!
Very much so.
The starting material is a flow of orders from clients, to buy or sell a certain volume at a certain price. And the orders are both for placing orders and for withdrawing them.
Further, at each price level these requests are lined up in separate lines forming a slab with price levels and summary volume at each level.
Then the buy and sell orders are combined.
Suppose that a large Buy request has eaten the whole offered volume of BestAsk in the cup and started to eat the next price level BestAsk+1. Only at this point a tick (price change) occurs.
This is the exchange version, for forex may be different, for example, a tick may be given at each transaction, even if it does not change BestBid/BestAsk.
In any case, the tick is just the end result of a complex process.
I see that it was not you who asked this question when you were young. I see that you are an experienced speculator, probably a banker.
And how does this splitting help you in trading now? Can't wait for a young fighter for free money, to get an opinion from a professional.
There are only physicists here, no one to discuss trading matters with.